HomeMy Public PortalAbout2013 3rd Quarter ReportMetropolitan St. Louis Sewer District
Deferred Compensation Plan
3rd Quarter 2013 Performance Review
1 Executive Summary 1
2 Performance Summary 3
3 Plan Assets 10
4 Manager Evaluation 13
5 Capital Markets Review 47
Table Of Contents
Executive Summary
1
Performance Summary - September 2013
The third quarter fund performance reflected strong global equity markets and modest results in global fixed income markets.
Plan Assets
The investment menu provides a combination of single strategy funds and diversified portfolios including a balanced fund and target retirement date
funds. The retirement dates range from 2010 through 2060 in five year increments.
Manager Evaluation
Vanguard is a market leader and well known for its low cost market index and institutional investment funds. No changes or announcements by
Vanguard were noted during this quarter. Detailed analysis can be found in the Manager Evaluation section of the report.
Capital Markets Review
Global equity markets experienced strong gains in a risk-on, risk-off third quarter where markets were driven by government policies and
geopolitical news rather than corporate fundamentals. Growth companies significantly outpaced value companies among domestic stocks, while
value companies outperformed growth companies among non-U.S. indices. From a capitalization perspective, both small- and mid-cap indices
outperformed their large-cap counterparts with small-cap advancing the most. In fixed income markets interest rates moved up significantly during
the summer months only to fall again in September following the Federal Reserve’s surprise decision to postpone tapering of bond purchases.
Expectations for rate increases remain modest, especially at the long end of the curve given the low inflation outlook and high unemployment.
Recommendations or Action Items
No recommendations at this time. Pavilion is preparing an investment structure review to be presented at the May 2014 Finance Committee
Meeting.
Deferred Compensation Plan Executive Summary
2
Performance Summary
3
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Domestic Equity Options
Vanguard 500 Index (VFINX)5.2 (63)19.7 (58)19.2 (62)16.1 (32)9.9 (43)7.4 (51)
S&P 500 5.2 (63)19.8 (56)19.3 (60)16.3 (30)10.0 (40)7.6 (48)
Large-Cap Equity Peer Group Median 6.1 20.2 20.4 15.0 9.5 7.5
Vanguard US Growth (VWUSX)10.1 (36)22.1 (40)22.7 (27)17.5 (22)11.1 (46)7.0 (68)
Russell 1000 Growth Index 8.1 (66)20.9 (52)19.3 (57)16.9 (28)12.1 (32)7.8 (44)
Large-Cap Growth Equity Peer Group Median 8.9 21.0 20.0 15.5 10.8 7.6
Vanguard Windsor II (VWNFX)4.0 (77)19.3 (64)20.8 (55)16.2 (27)9.5 (37)8.3 (29)
Russell 1000 Value Index 3.9 (78)20.5 (47)22.3 (40)16.2 (27)8.9 (53)8.0 (35)
Large-Cap Value Equity Peer Group Median 5.2 20.1 21.3 14.8 9.0 7.5
Vanguard Mid-Cap Index (VIMSX)7.6 (59)24.3 (43)27.8 (39)17.0 (37)13.0 (29)10.5 (33)
Vanguard Mid-Cap Index Fund Blended Benchmark 7.7 (58)24.7 (41)28.2 (36)17.3 (34)13.3 (26)10.6 (30)
Mid-Cap Equity Peer Group Median 8.2 23.4 26.3 16.0 11.8 9.7
Vanguard Small-Cap Index (NAESX)9.2 (59)26.5 (57)30.0 (55)18.8 (44)13.1 (30)10.8 (23)
Vanguard Small-Cap Index Fund Blended Benchmark 9.2 (58)26.6 (55)30.1 (54)18.9 (42)13.2 (29)10.9 (23)
Small-Cap Equity Peer Group Median 9.6 27.4 30.7 18.4 11.8 9.7
International Equity Option
Vanguard International Growth (VWIGX)13.6 (8)14.6 (41)22.4 (38)8.4 (42)8.3 (24)9.4 (31)
MSCI AC World ex USA (Net)10.1 (55)10.0 (84)16.5 (81)5.9 (82)6.3 (50)8.8 (40)
International Equity Peer Group Median 10.3 14.0 20.9 7.8 6.3 8.3
Fixed Income Options
Vanguard Total Bond Market Index (VBMFX)0.5 (69)-2.0 (56)-1.9 (75)2.6 (80)5.2 (81)4.5 (57)
Vanguard Total Bond Market Index Fund Benchmark 0.5 (67)-1.9 (44)-1.7 (67)2.9 (70)5.5 (70)4.6 (50)
Market Duration Fixed Income Peer Group Median 0.6 -2.0 -1.4 3.4 6.4 4.6
Vanguard Retirement Savings Trust 0.4 1.3 1.9 2.5 2.7 3.5
Ryan 3 Yr GIC Master 0.3 0.8 1.1 1.8 2.8 3.3
Performance Summary
Investment Options
As of September 30, 2013
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
4
Performance Summary
Investment Options
As of September 30, 2013
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options
Vanguard Balanced Index (VBINX)3.9 (66)11.4 (65)11.6 (73)11.2 (19)8.9 (28)7.0 (27)
Vanguard Balanced Index Fund Benchmark 4.0 (63)11.6 (60)11.9 (69)11.5 (13)9.2 (23)7.2 (21)
60% Equity / 40% Fixed Peer Group Median 4.4 12.0 13.0 10.0 8.2 6.5
Vanguard Target Retirement Income (VTINX)2.7 (59)3.4 (93)4.1 (91)6.5 (68)6.8 (49)N/A
Vanguard Target Income Composite Index 2.7 (59)3.4 (93)4.3 (91)6.5 (66)6.8 (49)N/A
35% Equity / 65% Fixed Peer Group Median 2.8 6.6 7.1 7.1 6.8 5.5
Vanguard Target Retirement 2010 (VTENX)3.4 (38)5.7 (89)6.8 (82)7.9 (41)7.4 (42)N/A
Vanguard Target 2010 Composite Index 3.4 (35)5.9 (87)7.0 (78)8.0 (39)7.4 (41)N/A
40% Equity / 60% Fixed Peer Group Median 3.1 7.6 8.4 7.7 7.1 5.6
Vanguard Target Retirement 2015 (VTXVX)4.2 (44)8.3 (91)9.6 (84)9.1 (64)7.9 (51)N/A
Vanguard Target 2015 Composite Index 4.3 (42)8.6 (89)9.8 (82)9.1 (62)7.9 (51)N/A
55% Equity / 45% Fixed Peer Group Median 4.1 11.0 11.8 9.5 7.9 6.3
Vanguard Target Retirement 2020 (VTWNX)4.9 (45)10.2 (89)11.7 (81)9.9 (71)8.2 (53)N/A
Vanguard Target 2020 Composite Index 4.9 (43)10.5 (88)11.9 (80)10.2 (65)8.4 (48)N/A
65% Equity / 35% Fixed Peer Group Median 4.7 13.3 14.1 10.8 8.3 6.7
Vanguard Target Retirement 2025 (VTTVX)5.4 (40)11.7 (87)13.3 (76)10.7 (65)8.4 (54)N/A
Vanguard Target 2025 Composite Index 5.4 (39)12.0 (86)13.6 (74)11.0 (58)8.6 (47)N/A
70% Equity / 30% Fixed Peer Group Median 5.1 14.2 15.2 11.3 8.5 6.9
Vanguard Target Retirement 2030 (VTHRX)5.9 (46)13.2 (89)15.0 (80)11.5 (73)8.6 (66)N/A
Vanguard Target 2030 Composite Index 6.0 (44)13.6 (87)15.3 (78)11.8 (69)8.8 (60)N/A
80% Equity / 20% Fixed Peer Group Median 5.7 16.5 17.6 12.6 9.1 7.2
Vanguard Target Retirement 2035 (VTTHX)6.5 (40)14.7 (86)16.8 (71)12.2 (71)8.9 (60)N/A
Vanguard Target 2035 Composite Index 6.5 (39)15.1 (84)17.0 (69)12.5 (66)9.1 (54)N/A
85% Equity / 15% Fixed Peer Group Median 5.9 17.6 18.5 13.2 9.2 7.5
Vanguard Target Retirement 2040 (VFORX)6.8 (41)15.6 (86)17.8 (72)12.6 (78)9.1 (60)N/A
Vanguard Target 2040 Composite Index 6.8 (41)16.0 (84)17.9 (71)12.8 (74)9.3 (56)N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
5
Performance Summary
Investment Options
As of September 30, 2013
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options (cont.)
Vanguard Target Retirement 2045 (VTIVX)6.7 (42)15.6 (86)17.7 (73)12.6 (77)9.1 (61)N/A
Vanguard Target 2045 Composite Index 6.8 (41)16.0 (84)17.9 (71)12.8 (74)9.3 (56)N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7
Vanguard Target Retirement 2050 (VFIFX)6.8 (41)15.6 (86)17.7 (73)12.6 (78)9.1 (61)N/A
Vanguard Target 2050 Composite Index 6.8 (41)16.0 (84)17.9 (71)12.8 (74)9.3 (56)N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7
Vanguard Target Retirement 2055 (VFFVX)6.8 (41)15.6 (86)17.7 (73)12.7 (75)N/A N/A
Vanguard Target 2055 Composite Index 6.8 (41)16.0 (84)17.9 (71)12.8 (74)N/A N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7
Vanguard Target Retirement 2060 (VTTSX)6.8 (41)15.6 (86)17.7 (73)N/A N/A N/A
Vanguard Target 2060 Composite Index 6.8 (41)16.0 (84)17.9 (71)N/A N/A N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7
Money Market Option
Vanguard Prime Money Market (VMMXX)0.0 0.0 0.0 0.0 0.3 1.8
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.2 1.7
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
6
Performance Summary
Manager Compliance Checklist
As of September 30, 2013
Managers
Vanguard
S&P 500
Index
(VFINX)
Vanguard US
Growth
(VWUSX)
Vanguard
Windsor II
(VWNFX)
Vanguard
Mid-Cap
Index
(VIMSX)
Vanguard
Small-Cap
Index
(NAESX)
Vanguard
International
Growth
(VWIGX)
Vanguard
Total Bond
Market Index
(VBMFX)
Vanguard
Retirement
Trust
Organizational/Product Issues
No material changes to investment team
No material organizational changes
Accounting or regulatory concerns
Currently in adherence to guidelines
Portfolio characteristics meet stylistic expectations
Relative Performance 1
Three-year return better than benchmark N/A In Line N/A N/A N/A N/A
Three-year ranking better than peer group median N/A N/A N/A N/A N/A
Five year return better than benchmark N/A No (-100 bps)N/A N/A N/A N/A
Five year ranking better than peer group median N/A N/A N/A N/A N/A
Performance status Green Green Green Green Green Green Green Green
Summary status Green Green Green Green Green Green Green Green
1 Manager performance is evaluated net of investment management fees.
7
Performance Summary
Manager Compliance Checklist (Continued)
As of September 30, 2013
Managers
Vanguard
Balanced
Index
(VBINX)
Vanguard
Target
Retirement
Income Fund
(VTINX)
Vanguard
Target
Retirement
2010
(VTENX)
Vanguard
Target
Retirement
2015
(VTXVX)
Vanguard
Target
Retirement
2020
(VTWNX)
Vanguard
Target
Retirement
2025
(VTTVX)
Vanguard
Target
Retirement
2030
(VTHRX)
Vanguard
Target
Retirement
2035
(VTTHX)
Organizational/Product Issues
Adverse changes to investment team
Adverse organizational changes
Accounting or regulatory concerns
Currently in adherence to guidelines
Portfolio characteristics meet stylistic expectations
Relative Performance 1
Three-year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/A
Three-year ranking better than peer group median N/A N/A N/A N/A N/A N/A N/A N/A
Five year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/A
Five year ranking better than peer group median N/A N/A N/A N/A N/A N/A N/A N/A
Performance status Green Green Green Green Green Green Green Green
Summary status Green Green Green Green Green Green Green Green
1 Manager performance is evaluated net of investment management fees.
8
Performance Summary
Manager Compliance Checklist (Continued)
As of September 30, 2013
1 Manager performance is evaluated net of investment management fees.
Managers
Vanguard
Target
Retirement
2040
(VFORX)
Vanguard
Target
Retirement
2045
(VTIVX)
Vanguard
Target
Retirement
2050
(VFIFX)
Vanguard
Target
Retirement
2055
(VFFVX)
Vanguard
Target
Retirement
2060
(VTTSX)
Vanguard
Prime Money
Market Fund
(VMMXX)
Organizational/Product Issues
Adverse changes to investment team
Adverse organizational changes
Accounting or regulatory concerns
Currently in adherence to guidelines
Portfolio characteristics meet stylistic expectations
Relative Performance 1
Three-year return better than benchmark N/A N/A N/A N/A N/A N/A
Three-year ranking better than peer group median N/A N/A N/A N/A N/A N/A
Five year return better than benchmark N/A N/A N/A N/A N/A N/A
Five year ranking better than peer group median N/A N/A N/A N/A N/A N/A
Performance status Green Green Green Green Green Green
Summary status Green Green Green Green Green Green
9
Plan Assets
10
Plan Summary
Deferred Compensation Plan Assets
As of September 30, 2013
Investment Options Investment Style Allocation Percentage
Domestic Equity Funds
Vanguard 500 Index Inv US Large Cap Equity - Core $ 5,147,722 12.1% $ 1,357,007 + 35.8%
Vanguard Windsor II Inv US Large Cap Equity - Value $ 7,702,284 18.1% $ 1,513,901 + 24.5%
Vanguard US Growth Inv US Large Cap Equity - Growth $ 3,285,648 7.7% $ 768,016 + 30.5%
Vanguard Mid Cap Index Inv US Mid Cap Equity - Core $ 2,179,822 5.1% $ 795,881 + 57.5%
Vanguard Small Cap Index Inv US Small Cap Equity - Core $ 2,444,412 5.7% $ 1,083,384 + 79.6%
$ 20,759,888 48.8% $ 5,518,189 + 36.2%
International Equity Funds
Vanguard International Growth International Equity $ 2,267,638 5.3% $ 466,614 + 25.9%
$ 2,267,638 5.3% $ 466,614 + 25.9%
Fixed Income/Alternative Funds
Vanguard Total Bond Market Index Inv Market Duration $ 2,794,694 6.6% $ (38,711)- 1.4%
Vanguard Retirement Savings Trust Short Duration $ 3,278,226 7.7% $ 360,891 + 12.4%
Vanguard Balanced Index Inv Balanced $ 3,622,661 8.5% $ 687,435 + 23.4%
$ 9,695,581 22.8% $ 1,009,615 + 11.6%
Cash
Vanguard Prime Money Market Cash $ 1,069,045 2.5% $ 38,195 + 3.7%
$ 1,069,045 2.5% $ 38,195 + 3.7%
Target Date Funds
Vanguard Target Retirement Income Inv Blend $ 396,942 0.9% $ 74,464 + 23.1%
Vanguard Target Retirement 2010 Inv Blend $ 669,327 1.6% $ 84,643 + 14.5%
Vanguard Target Retirement 2015 Inv Blend $ 1,087,489 2.6% $ 43,522 + 4.2%
Vanguard Target Retirement 2020 Inv Blend $ 1,416,966 3.3% $ 33,793 + 2.4%
Vanguard Target Retirement 2025 Inv Blend $ 1,843,001 4.3% $ 195,734 + 11.9%
Vanguard Target Retirement 2030 Inv Blend $ 717,763 1.7% $ 108,503 + 17.8%
Vanguard Target Retirement 2035 Inv Blend $ 618,806 1.5% $ 82,038 + 15.3%
Vanguard Target Retirement 2040 Inv Blend $ 409,086 1.0% $ 94,339 + 30.0%
Vanguard Target Retirement 2045 Inv Blend $ 334,833 0.8% $ 43,283 + 14.8%
Vanguard Target Retirement 2050 Inv Blend $ 88,616 0.2% $ 15,707 + 21.5%
Vanguard Target Retirement 2055 Inv Blend $ 5,191 0.0% $ 9,783 + 40.7%
Vanguard Target Retirement 2060 Inv Blend $ 13,472 0.0% $ 13,472 --
7,601,492$ 17.9%799,281$ + 11.6%
Loan Fund
Loan Fund Loan Fund $ 1,158,149 2.7% $ (7,873)- 0.7%
TOTAL $ 42,551,793 100.0% $ 7,824,021 + 22.5%
$ Change
From
Previous Qtr
% Change
From
Previous Qtr
11
Plan Summary
Fee Comparison Summary
Investment Option
Expense
Ratio
Morningstar
Category
Average
Fee Level
Comparison
Group Median
eVestment
Alliance
Universe
Median Category
Fee Level Comparison
Group
eVestment Alliance
Universe
Vanguard 500 Index 0.17 1.11 0.98 0.16 Large Blend eVestment US Passive Large Cap Equity
Vanguard US Growth 0.45 1.29 0.98 0.85 Large Growth Large Cap No Load US Large Cap Growth
Vanguard Windsor 0.35 1.19 0.98 0.84 Large Value Large Cap No Load US Large Cap Value
Vanguard Mid-Cap Index 0.24 1.17 1.15 0.27 Mid Blend Mid Cap No Load US Passive Mid Cap Equity
Vanguard Small-Cap Index 0.24 1.30 1.22 0.27 Small Blend Small Cap No Load US Passive Small Cap Equity
Vanguard International Growth 0.48 1.48 1.11 1.10 Foreign Large Growth Foreign Large Cap No Load ACWI ex-US Growth Equity
Vanguard Total Bond Market Index 0.20 0.89 0.68 0.53 Intermediate-Term Bond Intermediate-Term Bond No Load US Core Fixed Income
Vanguard Retirement Saving Trust 0.53 N/A N/A 0.64 N/A N/A US Stable Value Fixed Income
Vanguard Balanced Index 0.24 1.02 0.93 0.70 Moderate Allocation Moderate Allocation No Load US Balanced
Vanguard Target Retirement Income 0.16 0.49 0.63 0.52 Retirement Income Retirement Income No Load Lifecycle/Target Date Income
Vanguard Target Retirement 2010 0.16 0.41 0.62 0.60 Target Date 2000-2010 Target Retirement 2000-2010 No Load Lifecycle/Target Date 2010
Vanguard Target Retirement 2015 0.16 0.48 0.85 0.62 Target Date 2011-2015 Target Retirement 2011-2015 No Load Lifecycle/Target Date 2015
Vanguard Target Retirement 2020 0.16 0.51 0.76 0.65 Target Date 2016-2020 Target Retirement 2016-2020 No Load Lifecycle/Target Date 2020
Vanguard Target Retirement 2025 0.17 0.47 0.89 0.66 Target Date 2021-2025 Target Retirement 2021-2025 No Load Lifecycle/Target Date 2025
Vanguard Target Retirement 2030 0.17 0.52 0.82 0.66 Target Date 2026-2030 Target Retirement 2026-2030 No Load Lifecycle/Target Date 2030
Vanguard Target Retirement 2035 0.18 0.48 0.91 0.71 Target Date 2031-2035 Target Retirement 3031-2035 No Load Lifecycle/Target Date 2035
Vanguard Target Retirement 2040 0.18 0.52 0.87 0.72 Target Date 2036-2040 Target Retirement 2036-2040 No Load Lifecycle/Target Date 2040
Vanguard Target Retirement 2045 0.18 0.48 0.96 0.76 Target Date 2041-2045 Target Retirement 2041-2045 No Load Lifecycle/Target Date 2045
Vanguard Target Retirement 2050 0.18 0.49 0.84 0.70 Target Date 2046-2050 Target Retirement 2046-2050 No Load Lifecycle/Target Date 2050
Vanguard Target Retirement 2055 0.18 0.42 0.93 0.76 Target Date 2051+Target Retirement 2051+ No Load Lifecycle/Target Date 2055
Vanguard Target Retirement 2060 0.18 0.42 0.93 N/A Target Date 2051+Target Retirement 2051+ No Load N/A
Vanguard Prime Money Market 0.16 0.19 N/A 0.20 Money Market Taxable N/A US Cash Management
12
Manager Evaluation
13
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard 500 Index Fund (VFINX)5.2 19.7 19.2 16.1 9.9 7.4 15.8 2.0 14.9 26.5 -37.0 5.4 15.6 4.8 10.7 28.5
S&P 500 5.2 19.8 19.3 16.3 10.0 7.6 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 10.9 28.7
Large-Cap Equity Peer Group Median 6.1 20.2 20.4 15.0 9.5 7.5 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2 27.1
Vanguard 500 Index Fund (VFINX) Rank 63 58 62 32 43 51 38 23 40 57 46 56 33 63 45 39
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
-0.1
-0.2
-0.2Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard 500 Index Fund (VFINX)S&P 500
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard 500 Index Fund (VFINX)9.9 20.4 11.6 -0.1 1.0 0.6 0.0 -2.5 13.7 15.0 37y 1m
S&P 500 10.0 20.4 11.7 0.0 1.0 0.6 0.0 N/A 13.7 0.0 37y 1m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 20.5 -0.6 0.0 30.0 37y 1m
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of September 30, 2013
14
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 2.9 2.9 0.0 21.0
Exxon Mobil Corp 2.5 2.5 0.0 -4.1
Microsoft Corp 1.7 1.7 0.0 -3.0
Google Inc 1.6 1.6 0.0 -0.5
Johnson & Johnson 1.6 1.6 0.0 1.7
General Electric Co 1.6 1.6 0.0 3.8
Chevron Corp 1.6 1.6 0.0 3.5
Procter & Gamble Co (The)1.4 1.4 0.0 -1.1
Wells Fargo & Co 1.3 1.3 0.0 0.8
JPMorgan Chase & Co 1.3 1.3 0.0 -1.4
% of Portfolio 17.6 17.6
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)105,532 105,723
Median Mkt. Cap ($M)15,331 15,348
Price/Earnings ratio 17.1 17.1
Price/Book ratio 2.7 2.7
5 Yr. EPS Growth Rate (%)6.1 6.0
Current Yield (%)2.1 2.1
Debt to Equity 0.9 0.9
Number of Stocks 506 500
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)15.00 1.00
Sharpe Ratio (5 Years, Monthly)0.61 0.62
Information Ratio (5 Years, Monthly)-3.09 -
Up Market Capture (5 Years, Monthly)99.77 -
Down Market Capture (5 Years, Monthly)100.18 -
Sector Weights (%)
Vanguard 500 Index Fund (VFINX)S&P 500
0.0 3.0 6.0 9.0 12.0 15.0 18.0 20.7
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.1
3.2
2.4
3.5
17.9
10.7
13.0
16.2
10.4
10.0
12.5
0.0
3.2
2.4
3.5
17.9
10.7
13.0
16.3
10.5
10.0
12.5
Distribution of Market Capitalization (%)
Vanguard 500 Index Fund (VFINX)S&P 500
0.0
10.0
20.0
30.0
40.0
50.0
58.7
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
50.5
35.6
13.8
0.0 0.0
50.4
35.6
13.8
0.0 0.1
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of September 30, 2013
15
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Windsor II (VWNFX)4.0 19.3 20.8 16.2 9.5 8.3 16.7 2.7 10.6 27.1 -36.7 2.2 18.2 7.0 18.3 30.1
Russell 1000 Value Index 3.9 20.5 22.3 16.2 8.9 8.0 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1 16.5 30.0
Large-Cap Value Equity Peer Group Median 5.2 20.1 21.3 14.8 9.0 7.5 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 12.5 28.4
Vanguard Windsor II (VWNFX) Rank 77 64 55 27 37 29 29 17 86 42 45 56 36 38 7 35
8.4
8.8
9.2
9.6
10.0
10.3
Return (%)21.0 21.2 21.4 21.6 21.8 22.0 22.2 22.4 22.6
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II (VWNFX)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 6.0 9.6-6.0-12.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-2.1
-0.4
1.3
-1.9
1.4
2.3
4.3
-8.0
-1.8
2.0
-0.8
3.6
Allocation
(Total: 0.1)
0.0 0.2-0.2
0.1
0.0
0.0
-0.1
0.0
0.1
0.0
0.1
0.0
0.0
0.0
-0.1
Stock
(Total: 0.0)
0.0 0.4 0.7-0.4-0.7
0.0
0.0
0.0
0.0
-0.3
0.4
-0.1
0.2
0.2
0.1
-0.4
0.0
Vanguard Windsor II (VWNFX)
0.0 0.3 0.6 0.8-0.3-0.6
0.1
0.0
0.0
-0.1
-0.3
0.5
-0.1
0.3
0.2
0.1
-0.4
-0.1
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
16
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Pfizer Inc 2.8 2.3 0.5 3.4
JPMorgan Chase & Co 2.5 2.3 0.3 -1.4
Philip Morris International Inc 2.5 0.0 2.5 1.0
WellPoint Inc 2.5 0.3 2.2 2.6
Microsoft Corp 2.4 0.0 2.4 -3.0
Raytheon Co.2.3 0.3 2.1 18.4
Wells Fargo & Co 2.3 2.3 0.0 0.8
American Express Co 2.3 0.0 2.3 1.3
Johnson & Johnson 2.2 2.5 -0.3 1.7
Medtronic Inc 2.2 0.6 1.6 4.0
% of Portfolio 23.9 10.6
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)84,954 102,747
Median Mkt. Cap ($M)19,425 6,026
Price/Earnings ratio 14.3 15.1
Price/Book ratio 2.2 1.9
5 Yr. EPS Growth Rate (%)1.7 0.5
Current Yield (%)2.7 2.4
Debt to Equity 1.2 1.0
Number of Stocks 282 648
Beta (5 Years, Monthly)0.95 1.00
Consistency (5 Years, Monthly)45.00 1.00
Sharpe Ratio (5 Years, Monthly)0.58 0.53
Information Ratio (5 Years, Monthly)0.16 -
Up Market Capture (5 Years, Monthly)96.55 -
Down Market Capture (5 Years, Monthly)92.74 -
Sector Weights (%)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0 34.5
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
1.2
3.6
4.0
2.8
1.4
8.0
11.5
17.4
20.9
13.0
8.9
7.4
0.0
0.0
6.2
2.6
2.9
9.0
10.0
13.0
29.0
15.0
5.8
6.5
Distribution of Market Capitalization (%)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0.0
10.0
20.0
30.0
40.0
50.0
57.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
45.0
31.9
22.7
0.4 0.0
46.9
36.5
12.9
0.1
3.6
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of September 30, 2013
17
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard US Growth (VWUSX)10.1 22.1 22.7 17.5 11.1 7.0 18.4 -0.7 11.5 35.0 -37.8 10.1 1.8 11.2 7.0 26.1
Russell 1000 Growth Index 8.1 20.9 19.3 16.9 12.1 7.8 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 29.7
Large-Cap Growth Equity Peer Group Median 8.9 21.0 20.0 15.5 10.8 7.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 25.8
Vanguard US Growth (VWUSX) Rank 36 40 27 22 46 68 16 48 83 40 46 75 90 17 59 48
10.0
11.0
12.0
13.0
Return (%)20.0 20.2 20.4 20.6 20.8 21.0 21.2 21.4
Risk (Standard Deviation %)
Russell 1000 Growth Index
Vanguard US Growth (VWUSX)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 6.0 9.3-6.0-11.7
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-0.2
0.1
0.0
-1.3
3.8
-7.4
-1.7
3.0
2.3
-6.7
4.6
3.5
Allocation
(Total: 0.1)
0.0 0.4 0.8-0.4
0.0
0.0
0.0
0.0
0.0
-0.2
0.0
-0.1
0.2
0.5
0.1
-0.3
Stock
(Total: 2.4)
0.0 1.0 2.0 2.4-1.0
0.0
0.1
0.0
-0.1
1.7
-0.2
0.5
0.0
-0.3
0.4
0.3
0.0
Vanguard US Growth (VWUSX)
0.0 1.0 2.0 2.5-1.0
0.0
0.1
0.0
-0.1
1.7
-0.3
0.5
-0.2
-0.1
0.9
0.4
-0.3
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
18
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc 3.8 2.7 1.1 -0.5
MasterCard Inc 3.7 0.9 2.8 17.2
Visa Inc 3.1 1.1 2.0 4.8
Priceline.Com Inc 2.8 0.6 2.2 22.3
EOG Resources Inc.2.6 0.5 2.2 28.7
eBay Inc.2.5 0.8 1.7 7.9
Apple Inc 2.3 3.8 -1.5 21.0
Qualcomm Inc.2.2 1.3 0.9 10.8
Allergan Inc.2.2 0.3 1.9 7.4
Celgene Corp 2.1 0.7 1.4 31.8
% of Portfolio 27.3 12.8
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)64,405 85,020
Median Mkt. Cap ($M)24,058 7,806
Price/Earnings ratio 24.5 20.5
Price/Book ratio 4.1 4.5
5 Yr. EPS Growth Rate (%)17.8 12.9
Current Yield (%)0.9 1.7
Debt to Equity 0.2 1.1
Number of Stocks 119 610
Beta (5 Years, Monthly)1.02 1.00
Consistency (5 Years, Monthly)48.33 1.00
Sharpe Ratio (5 Years, Monthly)0.66 0.73
Information Ratio (5 Years, Monthly)-0.26 -
Up Market Capture (5 Years, Monthly)101.56 -
Down Market Capture (5 Years, Monthly)106.99 -
Sector Weights (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 39.1
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
2.2
0.0
2.1
2.9
33.3
6.4
11.9
6.8
5.8
6.0
22.6
0.0
0.0
0.2
2.0
4.5
26.5
12.2
12.2
5.3
4.8
12.3
19.9
Distribution of Market Capitalization (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0
10.0
20.0
30.0
40.0
50.0
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
44.3
31.7
23.8
0.1 0.0
34.8
37.6
25.4
0.0
2.2
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of September 30, 2013
19
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Mid-Cap Index Fund (VIMSX)7.6 24.3 27.8 17.0 13.0 10.5 15.8 -2.1 25.5 40.2 -41.8 6.0 13.6 13.9 20.4 34.1
Vanguard Mid-Cap Index Fund Blended Benchmark 7.7 24.7 28.2 17.3 13.3 10.6 16.0 -1.9 25.7 40.5 -41.8 6.2 13.7 13.9 20.5 35.0
Mid-Cap Equity Equity Peer Group Median 8.2 23.4 26.3 16.0 11.8 9.7 14.6 -2.7 21.8 34.2 -40.2 8.1 11.9 9.4 15.3 34.8
Vanguard Mid-Cap Index Fund (VIMSX) Rank 59 43 39 37 29 33 40 45 26 32 61 59 38 17 18 55
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
0.3
-0.1
-0.2
-0.3Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard Mid-Cap Index Fund (VIMSX)
Vanguard Mid-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Mid-Cap Index Fund (VIMSX)13.0 23.9 15.3 -0.2 1.0 0.6 0.1 -2.6 15.6 5.0 15y 4m
Vanguard Mid-Cap Index Fund Blended Benchmark 13.3 23.9 15.5 0.0 1.0 0.6 0.0 N/A 15.6 0.0 15y 4m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 23.9 -0.6 0.0 30.0 15y 4m
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. Vanguard Mid-Cap Index Fund Blended Benchmark
As of September 30, 2013
Note: Prior to May 16, 2003, the Vanguard Mid-Cap Index was benchmarked to the S&P MidCap 400 Index. From May 16, 2003 to January 30, 2013, the Index
fund was benchmarked to the MSCI US Mid Cap 450 Index. Starting on January 31, 2013, the benchmark transitioned to the CRSP US Mid Cap Index.
20
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Delta Air Lines Inc.0.7 0.7 0.0 26.4
Micron Technology Inc.0.7 0.7 0.0 21.9
Delphi Automotive PLC 0.7 0.7 0.0 15.6
Health Care REIT Inc.0.6 0.6 0.0 -5.8
Vertex Pharmaceuticals Inc 0.6 0.6 0.0 -5.3
Netflix Inc 0.6 0.6 0.0 46.5
Grainger (W W) Inc.0.6 0.6 0.0 4.1
Macy's Inc 0.6 0.6 0.0 -9.3
Cerner Corp 0.6 0.6 0.0 9.4
Sherwin-Williams Co (The)0.6 0.6 0.0 3.5
% of Portfolio 6.2 6.3
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)10,051 10,104
Median Mkt. Cap ($M)7,922 7,924
Price/Earnings ratio 20.3 20.3
Price/Book ratio 2.8 2.8
5 Yr. EPS Growth Rate (%)8.1 8.1
Current Yield (%)1.4 1.4
Debt to Equity 1.8 1.8
Number of Stocks 368 366
Beta (5 Years, Monthly)1.01 1.00
Consistency (5 Years, Monthly)46.67 1.00
Sharpe Ratio (5 Years, Monthly)0.68 0.67
Information Ratio (5 Years, Monthly)0.32 -
Up Market Capture (5 Years, Monthly)101.59 -
Down Market Capture (5 Years, Monthly)100.86 -
Sector Weights (%)
Vanguard Mid-Cap Index Fund (VIMSX)
CRSP U.S. Mid Cap TR Index
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 23.0
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.6
5.7
0.8
6.1
15.0
13.0
10.6
16.1
6.9
6.0
19.2
0.0
5.8
0.8
6.1
15.1
13.1
10.5
16.4
6.9
6.0
19.3
Distribution of Market Capitalization (%)
Vanguard Mid-Cap Index Fund (VIMSX)
CRSP U.S. Mid Cap TR Index
0.0
20.0
40.0
60.0
80.0
100.0
$15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
12.7
87.1
0.2 0.0
12.7
86.5
0.1 0.6
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. CRSP U.S. Mid Cap TR Index
As of September 30, 2013
21
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Small-Cap Index Fund (NAESX)9.2 26.5 30.0 18.8 13.1 10.8 18.0 -2.8 27.7 36.1 -36.1 1.2 15.6 7.4 19.9 45.6
Vanguard Small-Cap Index Fund Blended Benchmark 9.2 26.6 30.1 18.9 13.2 10.9 18.2 -2.8 27.8 36.1 -36.2 1.2 15.8 7.5 20.0 47.5
Small-Cap Equity Peer Group Median 9.6 27.4 30.7 18.4 11.8 9.7 14.6 -3.4 26.4 31.8 -38.2 0.3 13.5 6.3 16.3 43.1
Vanguard Small-Cap Index Fund (NAESX) Rank 59 57 55 44 30 23 24 46 39 34 41 47 37 40 32 39
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard Small-Cap Index Fund (NAESX)
Vanguard Small-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Small-Cap Index Fund (NAESX)13.1 26.3 16.0 -0.1 1.0 0.6 0.1 -1.1 17.1 20.0 45y 8m
Vanguard Small-Cap Index Fund Blended Benchmark 13.2 26.3 16.0 0.0 1.0 0.6 0.0 N/A 17.1 0.0 45y 8m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 26.4 -0.6 0.0 30.0 45y 8m
Manager Evaluation
Vanguard Small-Cap Index Fund (NAESX) vs. Vanguard Small-Cap Index Fund Blended Benchmark
As of September 30, 2013
Note: Prior to May 16, 2003, the Vanguard Small-Cap Index was benchmarked to the Russell 2000 Index. From May 16, 2003 to January 30, 2013, the Index
fund was benchmarked to the MSCI US Small Cap 1750 Index. Starting on January 31, 2013, the benchmark transitioned to the CRSP US Small Cap Index.
22
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Towers Watson & Co 0.3 0.3 0.0 30.5
Fortune Brands Home & Security Inc 0.3 0.3 0.0 7.8
NCR Corp 0.3 0.3 0.0 20.1
Cooper Companies Inc. (The)0.3 0.3 0.0 9.0
Genworth Financial Inc 0.3 0.3 0.0 12.2
Hanesbrands Inc 0.3 0.3 0.0 21.6
Gannett Co Inc.0.3 0.3 0.0 10.4
Jarden Corp 0.2 0.2 0.0 10.6
Snap-On Inc 0.2 0.2 0.0 11.8
Fidelity National Financial Inc 0.2 0.2 0.0 12.5
% of Portfolio 2.5 2.6
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)2,938 2,971
Median Mkt. Cap ($M)1,603 1,603
Price/Earnings ratio 19.9 19.9
Price/Book ratio 2.5 2.5
5 Yr. EPS Growth Rate (%)8.2 8.3
Current Yield (%)1.4 1.4
Debt to Equity 1.4 1.4
Number of Stocks 1,462 1,439
Beta (5 Years, Monthly)1.02 1.00
Consistency (5 Years, Monthly)38.33 1.00
Sharpe Ratio (5 Years, Monthly)0.63 0.69
Information Ratio (5 Years, Monthly)-0.78 -
Up Market Capture (5 Years, Monthly)100.30 -
Down Market Capture (5 Years, Monthly)104.44 -
Sector Weights (%)
Vanguard Small-Cap Index (NAESX)
CRSP U.S. Small Cap TR Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0 26.5
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.9
3.6
0.7
5.9
15.9
16.0
11.2
22.4
5.2
3.2
15.1
0.0
3.6
0.7
5.9
15.8
16.1
11.5
22.6
5.2
3.2
15.2
Distribution of Market Capitalization (%)
Vanguard Small-Cap Index (NAESX)
CRSP U.S. Small Cap TR Index
0.0
12.0
24.0
36.0
48.0
60.0
72.0
80.5
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
67.1
32.9
0.0
66.4
32.7
0.9
Manager Evaluation
Vanguard Small-Cap Index (NAESX) vs. CRSP U.S. Small Cap TR Index
As of September 30, 2013
23
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2008 - Sep - 2013)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard International Growth (VWIGX)13.6 14.6 22.4 8.4 8.3 9.4 20.0 -13.7 15.7 41.6 -44.9 16.0 25.9 15.0 19.0 34.4
MSCI AC World ex USA (Net)10.1 10.0 16.5 5.9 6.3 8.8 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7 16.6 20.9 40.8
International Equity Peer Group Median 10.3 14.0 20.9 7.8 6.3 8.3 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5 36.1
Vanguard International Growth (VWIGX) Rank 8 41 38 42 24 31 32 51 25 23 54 28 43 50 45 57
4.0
6.0
8.0
10.0
10.7
Return (%)24.0 24.3 24.6 24.9 25.2 25.5 25.8 26.1 26.3
Risk (Standard Deviation %)
MSCI AC World ex USA (Net)
Vanguard International Growth (VWIGX)
Vanguard International Growth (VWIGX)MSCI AC World ex USA (Net)
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Average Active Weight
0.0 6.0 12.0-6.0-9.7
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.0
-3.1
-1.8
7.3
4.7
0.2
-5.1
-5.1
-3.2
6.0
3.2
Allocation
(Total: 0.0)
0.0 0.3-0.3-0.5
0.1
-0.1
0.0
0.0
0.1
0.0
0.0
0.0
0.2
0.1
-0.3
Stock
(Total: 3.5)
0.0 2.0 3.7-1.2
0.0
0.1
0.1
2.6
-0.2
0.0
0.1
0.2
-0.1
0.6
0.0
0.0 1.0 2.0 3.0 3.6-1.0
0.1
0.0
0.0
2.6
-0.1
0.0
0.1
0.2
0.1
0.7
-0.3
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2013
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
24
Total Attribution
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.4-0.5-1.0-1.3
Pacific
North America
Middle East
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
0.6
0.3
0.1
0.1
0.7
0.1
-0.2
-0.2
2.4
-0.3
Performance Attribution
Average Active Weight
0.0 4.0 8.0 10.7-4.0-8.0-12.0
Pacific
North America
Middle East
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-7.4
-3.5
0.8
0.4
5.5
1.9
0.0
-1.6
0.8
3.2
Allocation
(Total: 0.0)
0.0 0.2 0.3-0.2-0.4-0.5
0.1
0.0
-0.1
0.1
0.1
0.1
0.0
0.0
0.0
-0.3
Stock
(Total: 3.4)
0.0 1.0 2.0 3.0-1.0
0.4
0.2
0.1
0.0
0.6
0.0
-0.2
-0.2
2.4
0.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
1 Quarter Ending September 30, 2013
25
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Baidu Inc 2.7 0.0 2.7 64.0
Tencent Holdings LTD 2.6 0.3 2.3 33.8
AIA Group Ltd 2.5 0.3 2.2 11.4
Softbank Corp 2.2 0.4 1.8 19.1
Industria De Diseno Textil Inditex SA 2.0 0.2 1.8 25.0
Atlas Copco AB 1.8 0.1 1.7 22.0
Smc Corp 1.7 0.1 1.6 19.0
L'Oreal S.A., Paris 1.6 0.2 1.3 4.7
Prudential PLC 1.6 0.3 1.3 15.3
Syngenta AG, Basel 1.5 0.2 1.3 4.6
% of Portfolio 20.1 2.1
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)49,908 55,750
Median Mkt. Cap ($M)21,922 6,775
Price/Earnings ratio 16.9 14.5
Price/Book ratio 2.5 2.0
5 Yr. EPS Growth Rate (%)9.0 0.1
Current Yield (%)2.0 3.0
Debt to Equity 1.3 1.3
Number of Stocks 178 1,822
Beta (5 Years, Monthly)1.05 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)0.45 0.38
Information Ratio (5 Years, Monthly)0.61 -
Up Market Capture (5 Years, Monthly)107.82 -
Down Market Capture (5 Years, Monthly)101.42 -
Sector Weights (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 31.1
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.7
0.5
3.5
6.4
14.1
14.9
7.7
22.7
4.1
6.6
15.9
0.0
3.4
5.7
8.8
6.4
11.1
7.7
26.6
9.3
10.2
10.7
Distribution of Market Capitalization (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
0.0
10.0
20.0
30.0
40.0
49.5
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
33.8
36.3
29.1
0.7 0.0
29.7
42.6
23.0
1.1
3.7
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2013
26
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Australia 2.6 5.7
Hong Kong 5.5 3.5
Japan 10.7 15.5
New Zealand 0.0 0.1
Singapore 0.4 1.1
Pacific 19.1 25.9
Austria 0.0 0.2
Belgium 0.0 0.8
Finland 0.0 0.6
France 7.9 6.7
Germany 5.2 6.2
Greece 0.0 0.0
Ireland 0.2 0.2
Italy 2.1 1.4
Luxembourg 0.0 0.2
Netherlands 1.0 2.1
Portugal 0.4 0.1
Spain 4.8 2.3
EMU 21.5 21.0
Denmark 1.5 0.8
Norway 1.6 0.6
Sweden 5.1 2.3
Switzerland 6.7 6.5
United Kingdom 15.9 15.6
Europe ex EMU 30.7 25.9
Canada 2.7 7.2
United States 1.7 0.0
Israel 1.0 0.3
Middle East 1.0 0.3
Developed Markets 76.9 80.3
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Brazil 2.6 2.5
Cayman Islands 0.0 0.0
Chile 0.2 0.4
Colombia 0.0 0.3
Mexico 0.6 1.1
Peru 0.7 0.1
Virgin Islands 0.0 0.0
EM Latin America 4.1 4.2
China 6.5 2.7
India 1.7 1.2
Indonesia 0.3 0.5
Korea 3.4 3.4
Malaysia 0.0 0.8
Philippines 0.0 0.2
Taiwan 0.8 2.4
Thailand 0.5 0.5
EM Asia 13.1 11.7
Czech Republic 0.0 0.1
Egypt 0.0 0.0
Hungary 0.0 0.0
Morocco 0.0 0.0
Poland 0.0 0.4
Russia 0.6 1.3
South Africa 0.4 1.6
Turkey 0.9 0.4
EM Europe + Middle East + Africa 1.9 3.8
Emerging Markets 19.0 19.7
Frontier Markets 0.4 0.0
Cash 3.7 0.0
Other 0.0 0.0
Total 100.0 100.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2013
27
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Total Bond Market Index Fund (VBMFX)0.5 -2.0 -1.9 2.6 5.2 4.5 4.0 7.6 6.4 5.9 5.1 6.9 4.3 2.4 4.2 4.0
Vanguard Total Bond Market Index Fund Benchmark 0.5 -1.9 -1.7 2.9 5.5 4.6 4.3 7.9 6.6 5.9 5.2 7.0 4.3 2.4 4.3 4.1
Market Duration Fixed Income Peer Group Median 0.6 -2.0 -1.4 3.4 6.4 4.6 7.0 6.7 7.5 12.5 -1.7 5.7 4.2 2.1 4.3 4.1
Vanguard Total Bond Market Index Fund (VBMFX) Rank 69 56 75 80 81 57 91 18 82 93 13 18 45 32 57 53
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
0.4
-0.2
-0.4Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard Total Bond Market Index Fund (VBMFX)
Vanguard Total Bond Market Index Fund Benchmark
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Total Bond Market Index Fund (VBMFX)5.2 3.5 5.0 -0.2 1.0 1.5 0.2 -0.9 1.3 30.0 26y 9m
Vanguard Total Bond Market Index Fund Benchmark 5.5 3.5 5.3 0.0 1.0 1.5 0.0 N/A 1.2 0.0 26y 9m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.1 0.0 N/A 3.4 -1.5 0.0 15.0 26y 9m
Manager Evaluation
Vanguard Total Bond Market Index Fund (VBMFX) vs. Vanguard Total Bond Market Index Fund Benchmark
As of September 30, 2013
Note: Prior to January 1, 2010, the Vanguard Total Bond Market Index was benchmarked to the Barclays Aggregate Index. Starting on January 1, 2010, the
benchmark was transitioned to the Barclays Aggregate Float Adjusted Index.
28
Credit Quality Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Barclays U.S. Aggregate Float Adjusted
0.0
20.0
40.0
60.0
80.0
90.0
AAAAAABBB70.3
5.4
11.9 12.4
71.4
4.0
12.1 12.5
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.5 5.5
Avg. Maturity 7.5 7.4
Avg. Quality AA+AA+
Yield To Maturity (%)2.3 2.3
Sector Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Barclays U.S. Aggregate Float Adjusted
0.0
10.0
20.0
30.0
40.0
50.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingOtherCMBS39.3
5.5
19.8
23.5
0.5
7.2
2.4 0.0 1.9
40.0
4.3
24.1 22.0
0.4
6.4
0.0 0.7 2.1
Maturity Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Barclays U.S. Aggregate Float Adjusted
0.0
10.0
20.0
30.0
40.0
47.3
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
27.3
22.5
35.0
5.5
9.7
1.4
26.7
22.3
33.4
6.3
9.9
Manager Evaluation
Vanguard Total Bond Market Index (VBMFX) vs. Barclays U.S. Aggregate Float Adjusted
As of September 30, 2013
29
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Retirement Savings Trust 0.4 1.3 1.9 2.5 2.7 3.5 2.4 2.9 2.9 3.0 4.3 4.5 4.3 4.1 3.9 4.2
Ryan 3 Yr GIC Master 0.3 0.8 1.1 1.8 2.8 3.3 1.5 2.4 3.5 4.5 4.8 4.5 3.8 3.2 3.4 4.6
Short Duration Fixed Income Peer Group 0.4 0.0 0.3 1.4 2.7 2.8 2.7 1.4 3.4 6.7 -0.1 5.4 4.2 1.6 1.8 2.2
Vanguard Retirement Savings Trust Rank 50 1 1 1 52 2 55 8 68 79 28 70 38 1 1 1
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.3
0.6
0.9
-0.3
-0.6
-0.8Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard Retirement Savings Trust Ryan 3 Yr GIC Master
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Retirement Savings Trust 2.7 0.2 2.5 1.8 0.3 12.0 0.5 -0.2 0.0 55.0 10y 9m
Ryan 3 Yr GIC Master 2.8 0.6 2.6 0.0 1.0 4.3 0.0 N/A 0.0 0.0 10y 9m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 -0.1 0.1 N/A 0.6 -4.3 0.0 0.0 10y 9m
Manager Evaluation
Vanguard Retirement Savings Trust vs. Ryan 3 Yr GIC Master
As of September 30, 2013
30
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Balanced Index Fund (VBINX)3.9 11.4 11.6 11.2 8.9 7.0 11.3 4.1 13.1 20.1 -22.2 6.2 11.0 4.7 9.3 19.9
Vanguard Balanced Index Fund Benchmark 4.0 11.6 11.9 11.5 9.2 7.2 11.7 4.7 13.5 19.8 -22.0 6.3 11.1 4.8 9.3 20.1
60% Equity / 40% Fixed Peer Group Median 4.4 12.0 13.0 10.0 8.2 6.5 10.7 0.8 12.3 21.6 -23.1 6.0 9.7 5.0 8.5 19.7
Vanguard Balanced Index Fund (VBINX) Rank 66 65 73 19 28 27 39 10 34 63 41 49 30 58 36 48
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
0.4
0.6
-0.2
-0.4
-0.5Return (%)12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Vanguard Balanced Index Fund (VBINX)
Vanguard Balanced Index Fund Benchmark
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Balanced Index Fund (VBINX)8.9 12.3 9.3 -0.2 1.0 0.7 0.2 -1.1 7.5 15.0 20y 10m
Vanguard Balanced Index Fund Benchmark 9.2 12.4 9.5 0.0 1.0 0.8 0.0 N/A 7.5 0.0 20y 10m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 12.4 -0.8 0.0 25.0 20y 10m
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) vs. Vanguard Balanced Index Fund Benchmark
As of September 30, 2013
Note: Prior to June 1, 2005, the Vanguard Balanced Index was benchmarked to 60% DJ U.S. Total Stock Market Index/40% LB Aggregate Bond Index. From
June 1, 2005 to December 31, 2009, the Index fund was benchmarked to 60% MSCI US Broad Market Index/40% BC Aggregate Index. From January 1, 2010
to January 14, 2013, the Index fund was benchmarked to 60% MSCI US Broad Market Index/40% BC Aggregate Float Adjusted Index. Starting January 15,
2013, the benchmark transitioned to 60% CRSP US Total Market Index/40% BC Aggregate Float Adjusted Index.
31
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 2.2 2.3 -0.1 21.0
Exxon Mobil Corp 2.0 2.0 -0.1 -4.1
Microsoft Corp 1.3 1.3 0.0 -3.0
Johnson & Johnson 1.3 1.3 -0.1 1.7
General Electric Co 1.3 1.3 -0.1 3.8
Google Inc 1.2 1.3 0.0 -0.5
Chevron Corp 1.2 1.3 0.0 3.5
Wells Fargo & Co 1.1 1.2 0.0 0.8
Procter & Gamble Co (The)1.1 1.1 0.0 -1.1
IBM Corp 1.1 1.1 0.0 -2.6
% of Portfolio 13.7 14.2
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)83,060 86,093
Median Mkt. Cap ($M)1,177 850
Price/Earnings ratio 17.6 17.6
Price/Book ratio 2.7 2.7
5 Yr. EPS Growth Rate (%)6.6 6.9
Current Yield (%)2.0 2.0
Debt to Equity 1.1 1.1
Number of Stocks 3,174 3,613
Beta (5 Years, Monthly)0.61 1.00
Consistency (5 Years, Monthly)38.33 1.00
Sharpe Ratio (5 Years, Monthly)0.80 0.64
Information Ratio (5 Years, Monthly)-0.37 -
Up Market Capture (5 Years, Monthly)64.03 -
Down Market Capture (5 Years, Monthly)56.27 -
Sector Weights (%)
Vanguard Balanced Index Fund (VBINX)
CRSP U.S. Total Market TR Index
0.0 3.0 6.0 9.0 12.0 15.0 18.0 20.7
Other
Cash
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
3.7
3.1
2.1
3.7
17.3
11.1
12.2
16.8
9.2
8.4
12.4
0.0
0.0
3.2
2.2
3.8
18.0
11.5
12.7
17.5
9.6
8.7
12.9
Distribution of Market Capitalization (%)
Vanguard Balanced Index Fund (VBINX)
CRSP U.S. Total Market TR Index
0.0
10.0
20.0
30.0
40.0
47.2
>$59 Bil $15 Bil -
$59 Bil
$2 Bil -
$15 Bil
$0 -
$2 Bil
Cash
41.0
29.1
24.0
5.9
0.0
39.5
28.1
23.2
5.4 3.7
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) vs. CRSP U.S. Total Market TR Index
As of September 30, 2013
32
Credit Quality Distribution (%)
Vanguard Balanced Index Fund (VBINX)
Barclays U.S. Aggregate Float Adjusted
0.0
20.0
40.0
60.0
80.0
91.3
AAAAAABBB70.3
5.4
11.9 12.4
72.1
3.9
11.8 12.2
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.4 5.5
Avg. Maturity 7.4 7.4
Avg. Quality AA+AA+
Yield To Maturity (%)2.2 2.3
Sector Distribution (%)
Vanguard Balanced Index Fund (VBINX)
Barclays U.S. Aggregate Float Adjusted
0.0
10.0
20.0
30.0
40.0
50.0
55.4
TreasuriesAgenciesCreditMBSABSNon-USEmergingOtherCMBS39.3
5.5
19.8
23.5
0.5
7.2
2.4 0.0 1.9
40.7
4.4
23.5 23.0
2.3 5.2
0.0 0.9 0.0
Maturity Distribution (%)
Vanguard Balanced Index Fund (VBINX)
Barclays U.S. Aggregate Float Adjusted
0.0
10.0
20.0
30.0
40.0
47.3
1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs27.3
22.5
35.0
5.5
9.7
24.2
16.8
20.5
8.3
30.1
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) vs. Barclays U.S. Aggregate Float Adjusted
As of September 30, 2013
33
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement Income (VTINX)2.7 3.4 4.1 6.5 6.8 N/A 8.2 5.2 9.4 14.3 -10.9 8.2 6.4 3.3 6.8 N/A
Vanguard Target Income Composite Index 2.7 3.4 4.3 6.5 6.8 N/A 8.4 5.3 9.4 14.3 -11.4 8.1 6.5 3.4 6.9 N/A
35% Equity / 65% Fixed Peer Group Median 2.8 6.6 7.1 7.1 6.8 5.5 8.2 2.8 9.8 16.8 -13.2 6.0 7.5 3.7 6.2 12.8
Vanguard Target Retirement Income (VTINX) Rank 59 93 91 68 49 N/A 50 12 58 68 34 15 73 63 37 N/A
6.82
6.83
6.84
6.85
6.86
Return (%)6.12 6.14 6.16 6.18 6.20 6.22 6.24 6.26 6.28 6.30
Risk (Standard Deviation %)
Vanguard Target Income Composite Index
Vanguard Target Retirement Income (VTINX)
Vanguard Target Retirement Income (VTINX)
Vanguard Target Income Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement Income (VTINX)6.8 6.2 6.7 0.1 1.0 1.1 0.2 -0.1 3.0 50.0 9y 11m
Vanguard Target Income Composite Index 6.8 6.3 6.7 0.0 1.0 1.1 0.0 N/A 3.1 0.0 9y 11m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 6.3 -1.1 0.0 25.0 9y 11m
Manager Evaluation
Vanguard Target Retirement Income (VTINX) vs. Vanguard Target Income Composite Index
As of September 30, 2013
34
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2010 (VTENX)3.4 5.7 6.8 7.9 7.4 N/A 10.1 3.4 11.4 19.3 -20.7 7.7 N/A N/A N/A N/A
Vanguard Target 2010 Composite Index 3.4 5.9 7.0 8.0 7.4 N/A 10.3 3.2 11.6 19.4 -21.0 7.8 N/A N/A N/A N/A
40% Equity / 60% Fixed Peer Group Median 3.1 7.6 8.4 7.7 7.1 5.6 8.7 2.4 10.4 17.4 -15.5 5.8 7.9 4.0 6.7 14.3
Vanguard Target Retirement 2010 (VTENX) Rank 38 89 82 41 42 N/A 32 32 31 36 80 24 N/A N/A N/A N/A
7.38
7.40
7.42
7.44
7.46
7.48
7.49
Return (%)10.44 10.48 10.52 10.56 10.60 10.64 10.68 10.72
Risk (Standard Deviation %)
Vanguard Target 2010 Composite Index
Vanguard Target Retirement 2010 (VTENX)
Vanguard Target Retirement 2010 (VTENX)
Vanguard Target 2010 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2010 (VTENX)7.4 10.5 7.6 0.1 1.0 0.7 0.2 -0.3 6.2 45.0 7y 3m
Vanguard Target 2010 Composite Index 7.4 10.6 7.7 0.0 1.0 0.7 0.0 N/A 6.4 0.0 7y 3m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 10.7 -0.7 0.0 30.0 7y 3m
Manager Evaluation
Vanguard Target Retirement 2010 (VTENX) vs. Vanguard Target 2010 Composite Index
As of September 30, 2013
35
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2015 (VTXVX)4.2 8.3 9.6 9.1 7.9 N/A 11.4 1.7 12.5 21.3 -24.1 7.5 11.4 4.9 9.0 N/A
Vanguard Target 2015 Composite Index 4.3 8.6 9.8 9.1 7.9 N/A 11.5 1.5 12.6 21.4 -24.4 7.5 11.5 5.0 9.0 N/A
55% Equity / 45% Fixed Peer Group Median 4.1 11.0 11.8 9.5 7.9 6.3 10.2 1.3 11.7 20.9 -21.2 6.1 9.4 4.7 8.0 18.4
Vanguard Target Retirement 2015 (VTXVX) Rank 44 91 84 64 51 N/A 30 42 35 48 72 32 17 44 31 N/A
7.913
7.914
7.915
7.916
7.917
7.918
7.919
7.920
7.921
Return (%)12.55 12.60 12.65 12.70 12.75 12.80 12.84
Risk (Standard Deviation %)
Vanguard Target 2015 Composite Index
Vanguard Target Retirement 2015 (VTXVX)
Vanguard Target Retirement 2015 (VTXVX)
Vanguard Target 2015 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2015 (VTXVX)7.9 12.6 8.3 0.1 1.0 0.7 0.2 -0.1 7.8 45.0 9y 11m
Vanguard Target 2015 Composite Index 7.9 12.8 8.4 0.0 1.0 0.7 0.0 N/A 7.9 0.0 9y 11m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 12.8 -0.7 0.0 30.0 9y 11m
Manager Evaluation
Vanguard Target Retirement 2015 (VTXVX) vs. Vanguard Target 2015 Composite Index
As of September 30, 2013
36
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2020 (VTWNX)4.9 10.2 11.7 9.9 8.2 N/A 12.3 0.6 13.1 23.1 -27.0 7.5 N/A N/A N/A N/A
Vanguard Target 2020 Composite Index 4.9 10.5 11.9 10.2 8.4 N/A 12.5 0.9 13.3 23.4 -27.5 7.6 N/A N/A N/A N/A
65% Equity / 35% Fixed Peer Group Median 4.7 13.3 14.1 10.8 8.3 6.7 11.3 0.3 12.9 22.7 -25.1 6.2 10.3 5.3 8.9 21.1
Vanguard Target Retirement 2020 (VTWNX) Rank 45 89 81 71 53 N/A 32 46 46 48 69 39 N/A N/A N/A N/A
8.1
8.2
8.3
8.4
8.5
8.6
Return (%)14.32 14.34 14.36 14.38 14.40 14.42 14.44 14.46 14.48
Risk (Standard Deviation %)
Vanguard Target 2020 Composite Index
Vanguard Target Retirement 2020 (VTWNX)
Vanguard Target Retirement 2020 (VTWNX)
Vanguard Target 2020 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2020 (VTWNX)8.2 14.3 8.9 -0.1 1.0 0.6 0.2 -0.8 9.1 30.0 7y 3m
Vanguard Target 2020 Composite Index 8.4 14.4 9.0 0.0 1.0 0.6 0.0 N/A 9.2 0.0 7y 3m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 14.5 -0.6 0.0 30.0 7y 3m
Manager Evaluation
Vanguard Target Retirement 2020 (VTWNX) vs. Vanguard Target 2020 Composite Index
As of September 30, 2013
37
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2025 (VTTVX)5.4 11.7 13.3 10.7 8.4 N/A 13.3 -0.4 13.8 24.8 -30.1 7.6 13.2 5.4 10.1 N/A
Vanguard Target 2025 Composite Index 5.4 12.0 13.6 11.0 8.6 N/A 13.4 0.0 14.0 25.3 -30.5 7.6 13.4 5.5 10.1 N/A
70% Equity / 30% Fixed Peer Group Median 5.1 14.2 15.2 11.3 8.5 6.9 11.8 -0.1 13.1 23.5 -27.1 6.2 10.8 5.5 9.3 22.4
Vanguard Target Retirement 2025 (VTTVX) Rank 40 87 76 65 54 N/A 24 57 38 41 80 35 20 52 36 N/A
8.2
8.3
8.4
8.5
8.6
8.7
8.8
Return (%)16.06 16.07 16.08 16.09 16.10 16.11 16.12 16.13
Risk (Standard Deviation %)
Vanguard Target 2025 Composite Index
Vanguard Target Retirement 2025 (VTTVX)
Vanguard Target Retirement 2025 (VTTVX)
Vanguard Target 2025 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2025 (VTTVX)8.4 16.1 9.3 -0.2 1.0 0.6 0.2 -0.9 10.4 30.0 9y 11m
Vanguard Target 2025 Composite Index 8.6 16.1 9.5 0.0 1.0 0.6 0.0 N/A 10.4 0.0 9y 11m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 16.2 -0.6 0.0 25.0 9y 11m
Manager Evaluation
Vanguard Target Retirement 2025 (VTTVX) vs. Vanguard Target 2025 Composite Index
As of September 30, 2013
38
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2030 (VTHRX)5.9 13.2 15.0 11.5 8.6 N/A 14.2 -1.3 14.4 26.7 -32.9 7.5 N/A N/A N/A N/A
Vanguard Target 2030 Composite Index 6.0 13.6 15.3 11.8 8.8 N/A 14.4 -0.9 14.6 27.1 -33.4 7.6 N/A N/A N/A N/A
80% Equity / 20% Fixed Peer Group Median 5.7 16.5 17.6 12.6 9.1 7.2 12.9 -0.8 14.2 25.7 -30.9 6.3 11.7 5.9 10.1 25.0
Vanguard Target Retirement 2030 (VTHRX) Rank 46 89 80 73 66 N/A 27 59 45 43 76 38 N/A N/A N/A N/A
8.4
8.5
8.6
8.7
8.8
8.9
9.0
Return (%)17.76 17.77 17.78 17.79 17.80 17.81
Risk (Standard Deviation %)
Vanguard Target 2030 Composite Index
Vanguard Target Retirement 2030 (VTHRX)
Vanguard Target Retirement 2030 (VTHRX)
Vanguard Target 2030 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2030 (VTHRX)8.6 17.8 9.8 -0.2 1.0 0.5 0.2 -0.8 11.7 35.0 7y 3m
Vanguard Target 2030 Composite Index 8.8 17.8 10.0 0.0 1.0 0.6 0.0 N/A 11.7 0.0 7y 3m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 17.8 -0.6 0.0 25.0 7y 3m
Manager Evaluation
Vanguard Target Retirement 2030 (VTHRX) vs. Vanguard Target 2030 Composite Index
As of September 30, 2013
39
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2035 (VTTHX)6.5 14.7 16.8 12.2 8.9 N/A 15.2 -2.2 15.1 28.2 -34.7 7.5 15.2 6.3 12.0 N/A
Vanguard Target 2035 Composite Index 6.5 15.1 17.0 12.5 9.1 N/A 15.3 -1.9 15.3 28.6 -35.1 7.5 15.4 6.5 11.9 N/A
85% Equity / 15% Fixed Peer Group Median 5.9 17.6 18.5 13.2 9.2 7.5 13.3 -1.0 14.6 26.8 -32.7 6.5 12.2 6.3 10.6 26.2
Vanguard Target Retirement 2035 (VTTHX) Rank 40 86 71 71 60 N/A 21 68 41 40 75 41 19 51 31 N/A
8.7
8.8
8.9
9.0
9.1
9.2
9.3
Return (%)19.188 19.192 19.196 19.200 19.204 19.208 19.212 19.216
Risk (Standard Deviation %)
Vanguard Target 2035 Composite Index
Vanguard Target Retirement 2035 (VTTHX)
Vanguard Target Retirement 2035 (VTTHX)
Vanguard Target 2035 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2035 (VTTHX)8.9 19.2 10.3 -0.2 1.0 0.5 0.3 -0.7 12.8 45.0 9y 11m
Vanguard Target 2035 Composite Index 9.1 19.2 10.5 0.0 1.0 0.5 0.0 N/A 12.7 0.0 9y 11m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 19.2 -0.5 0.0 25.0 9y 11m
Manager Evaluation
Vanguard Target Retirement 2035 (VTTHX) vs. Vanguard Target 2035 Composite Index
As of September 30, 2013
40
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2040 (VFORX)6.8 15.6 17.8 12.6 9.1 N/A 15.6 -2.5 15.2 28.3 -34.5 7.5 N/A N/A N/A N/A
Vanguard Target 2040 Composite Index 6.8 16.0 17.9 12.8 9.3 N/A 15.5 -2.1 15.3 28.6 -35.1 7.5 N/A N/A N/A N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7 13.7 -1.4 15.2 27.5 -34.5 6.5 12.6 6.5 11.0 27.7
Vanguard Target Retirement 2040 (VFORX) Rank 41 86 72 78 60 N/A 24 68 51 46 51 42 N/A N/A N/A N/A
9.0
9.1
9.2
9.3
9.4
9.4
Return (%)19.308 19.312 19.316 19.320 19.324 19.328 19.332 19.336
Risk (Standard Deviation %)
Vanguard Target 2040 Composite Index
Vanguard Target Retirement 2040 (VFORX)
Vanguard Target Retirement 2040 (VFORX)
Vanguard Target 2040 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2040 (VFORX)9.1 19.3 10.6 -0.1 1.0 0.5 0.3 -0.5 12.8 40.0 7y 3m
Vanguard Target 2040 Composite Index 9.3 19.3 10.7 0.0 1.0 0.6 0.0 N/A 12.8 0.0 7y 3m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 19.4 -0.6 0.0 25.0 7y 3m
Manager Evaluation
Vanguard Target Retirement 2040 (VFORX) vs. Vanguard Target 2040 Composite Index
As of September 30, 2013
41
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2045 (VTIVX)6.7 15.6 17.7 12.6 9.1 N/A 15.6 -2.5 15.2 28.2 -34.6 7.5 16.0 6.9 12.9 N/A
Vanguard Target 2045 Composite Index 6.8 16.0 17.9 12.8 9.3 N/A 15.5 -2.1 15.3 28.6 -35.1 7.5 16.2 7.0 13.0 N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7 13.7 -1.4 15.2 27.5 -34.5 6.5 12.6 6.5 11.0 27.7
Vanguard Target Retirement 2045 (VTIVX) Rank 42 86 73 77 61 N/A 23 67 51 47 51 42 17 43 27 N/A
8.9
9.0
9.1
9.2
9.3
9.4
9.5
Return (%)19.328 19.330 19.332 19.334 19.336 19.338 19.340
Risk (Standard Deviation %)
Vanguard Target 2045 Composite Index
Vanguard Target Retirement 2045 (VTIVX)
Vanguard Target Retirement 2045 (VTIVX)
Vanguard Target 2045 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2045 (VTIVX)9.1 19.3 10.6 -0.2 1.0 0.5 0.3 -0.6 12.8 45.0 9y 11m
Vanguard Target 2045 Composite Index 9.3 19.3 10.7 0.0 1.0 0.6 0.0 N/A 12.8 0.0 9y 11m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 19.4 -0.6 0.0 25.0 9y 11m
Manager Evaluation
Vanguard Target Retirement 2045 (VTIVX) vs. Vanguard Target 2045 Composite Index
As of September 30, 2013
42
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2008 - Sep-2013)
Historical Statistics (Oct-2008 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2050 (VFIFX)6.8 15.6 17.7 12.6 9.1 N/A 15.6 -2.5 15.2 28.3 -34.6 7.5 N/A N/A N/A N/A
Vanguard Target 2050 Composite Index 6.8 16.0 17.9 12.8 9.3 N/A 15.5 -2.1 15.3 28.6 -35.1 7.5 N/A N/A N/A N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7 13.7 -1.4 15.2 27.5 -34.5 6.5 12.6 6.5 11.0 27.7
Vanguard Target Retirement 2050 (VFIFX) Rank 41 86 73 78 61 N/A 23 68 51 46 52 42 N/A N/A N/A N/A
9.0
9.1
9.2
9.3
9.4
9.5
Return (%)19.324 19.328 19.332 19.336 19.340 19.344 19.348 19.352
Risk (Standard Deviation %)
Vanguard Target 2050 Composite Index
Vanguard Target Retirement 2050 (VFIFX)
Vanguard Target Retirement 2050 (VFIFX)
Vanguard Target 2050 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2050 (VFIFX)9.1 19.3 10.6 -0.2 1.0 0.5 0.3 -0.6 12.8 45.0 7y 3m
Vanguard Target 2050 Composite Index 9.3 19.3 10.7 0.0 1.0 0.6 0.0 N/A 12.8 0.0 7y 3m
90 Day U.S. Treasury Bill 0.2 0.1 0.0 0.2 0.0 N/A 19.4 -0.6 0.0 25.0 7y 3m
Manager Evaluation
Vanguard Target Retirement 2050 (VFIFX) vs. Vanguard Target 2050 Composite Index
As of September 30, 2013
43
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2013)
Historical Statistics (Oct-2010 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2055 (VFFVX)6.8 15.6 17.7 12.7 N/A N/A 15.6 -2.3 N/A N/A N/A N/A N/A N/A N/A N/A
Vanguard Target 2055 Composite Index 6.8 16.0 17.9 12.8 N/A N/A 15.5 -2.1 N/A N/A N/A N/A N/A N/A N/A N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7 13.7 -1.4 15.2 27.5 -34.5 6.5 12.6 6.5 11.0 27.7
Vanguard Target Retirement 2055 (VFFVX) Rank 41 86 73 75 N/A N/A 23 63 N/A N/A N/A N/A N/A N/A N/A N/A
12.6
12.7
12.8
12.9
12.9
Return (%)13.68 13.70 13.72 13.74 13.76 13.78 13.80 13.82 13.84
Risk (Standard Deviation %)
Vanguard Target 2055 Composite Index
Vanguard Target Retirement 2055 (VFFVX)
Vanguard Target Retirement 2055 (VFFVX)
Vanguard Target 2055 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2055 (VFFVX)12.7 13.8 13.0 -0.2 1.0 0.9 0.3 -0.3 8.8 50.0 3y
Vanguard Target 2055 Composite Index 12.8 13.7 13.1 0.0 1.0 1.0 0.0 N/A 8.7 0.0 3y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 13.7 -1.0 0.0 16.7 3y
Manager Evaluation
Vanguard Target Retirement 2055 (VFFVX) vs. Vanguard Target 2055 Composite Index
As of September 30, 2013
44
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Sep-2013)
Historical Statistics (Feb-2012 - Sep-2013)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003
Vanguard Target Retirement 2060 (VTTSX)6.8 15.6 17.7 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Vanguard Target 2060 Composite Index 6.8 16.0 17.9 N/A N/A N/A 15.5 N/A N/A N/A N/A N/A N/A N/A N/A N/A
90% Equity / 10% Fixed Peer Group Median 6.3 18.7 19.6 13.8 9.5 7.7 13.7 -1.4 15.2 27.5 -34.5 6.5 12.6 6.5 11.0 27.7
Vanguard Target Retirement 2060 (VTTSX) Rank 41 86 73 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
13.12
13.13
13.14
13.15
13.16
13.17
13.18
13.19
Return (%)7.9 8.0 8.1 8.2 8.3 8.4
Risk (Standard Deviation %)
Vanguard Target 2060 Composite Index
Vanguard Target Retirement 2060 (VTTSX)
Vanguard Target Retirement 2060 (VTTSX)
Vanguard Target 2060 Composite Index
0
25
50
75
100Return Percentile Rank12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2060 (VTTSX)N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1y 8m
Vanguard Target 2060 Composite Index 18.2 9.5 17.4 0.0 1.0 1.8 0.0 N/A 2.9 0.0 1y 8m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.5 -1.8 0.0 14.3 1y 8m
Manager Evaluation
Vanguard Target Retirement 2060 (VTTSX) vs. Vanguard Target 2060 Composite Index
As of September 30, 2013
45
Manager Evaluation
Target-Date Funds Asset Allocation
As of September 30, 2013
U.S. Equity 20.9%27.8%36.9%43.4%48.8%54.0%59.1%62.9%63.0%63.0%63.1%63.2%
Vanguard Total Stock Market Index Fund 20.9%27.8%36.9%43.4%48.8%54.0%59.1%62.9%63.0%63.0%63.1%63.2%
Non-U.S. Equity 9.0%12.0%15.9%18.7%20.9%23.2%25.5%27.0%27.0%27.0%26.9%26.9%
Vanguard Total International Stock Index Fund 9.0%12.0%15.9%18.7%20.9%23.2%25.5%27.0%27.0%27.0%26.9%26.9%
Fixed Income 70.1%60.2%47.2%37.9%30.3%22.8%15.4%10.1%10.0%10.0%10.0%9.9%
Vanguard Total Bond Market II Index Fund 39.3%35.8%32.2%30.4%24.3%18.3%12.3%8.1%8.0%8.0%8.0%7.9%
Vanguard Inflation-Protected Securities Fund 16.8%12.4%5.6%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
Vanguard Total International Bond Stock Index Fund 14.0%12.0%9.4%7.5%6.0%4.5%3.1%2.0%2.0%2.0%2.0%2.0%
TOTAL 100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%
Target
Date
2025
Target
Date
2010
Target
Date
2060
Target
Date
2030
Target
Date
2035
Target
Date
2040
Target
Date
2055Vanguard Component Funds
Retirement
Income
Target
Date
2045
Target
Date
2050
Target
Date
2015
Target
Date
2020
0%
10%
20%
30%
40%
50%
60%
70%
80%
U.S. Equity Non -U.S. Equity Fixed Income
Retirement Income
Target Date 2010
Target Date 2015
Target Date 2020
Target Date 2025
Target Date 2030
Target Date 2035
Target Date 2040
Target Date 2045
Target Date 2050
Target Date 2055
Target Date 2060
46
Capital Markets Review
47
No Fed Tapering Gives Markets Breathing Room
•Ben Bernanke stunned investors who widely expected a tapering of the Federal
Reserve’s bond purchases in September.The indefinite delay of tapering was
predicated by a highly contestable political process,which brought the federal
government to the brink of its borrowing limit.Sequester spending cuts also weighed
on growth,and the Fed viewed continued intervention as necessary to balance the
economic uncertainties emanating from federal fiscal policy.A negative reaction in the
housing markets to Bernanke’s May comments regarding an eventual end of bond
purchases also influenced the decision to continue monetary easing and keep interest
rates at minimum levels.
•As the implementation of Obamacare neared,President Obama delayed the employer
mandate by one year,citing the need for government agencies involved in healthcare
regulation to bolster their oversight systems to handle the increased oversight.The law
requires many agencies to cooperate and cross-check employer and employee data,and
has proven a greater task than initially perceived.In the months preceding the change to
the mandate,business hiring patterns shifted,favoring part-time workers.Owing partly
to the mandate’s requirement for businesses with over 50 full-time workers to provide
health insurance for their employees,the one year reprieve propelled a reversal in part-
time hiring during the quarter.Smaller companies were more affected,as larger
companies tend to provide some type of health insurance coverage.As businesses grasp
the enormity of changes and costs for providing health insurance,there is an elevated
likelihood of full-time hiring retreating in favor of part-time workers in 2014 at smaller
companies.Large-company employees are bracing for substantially higher premiums
and/or deductibles in 2014.
•Decades of decline,mismanagement and overpromises to city workers forced Detroit
into bankruptcy.Several rounds of negotiations with employee unions failed to bear
results,and the city’s finances were taken over by a financial manager.Chicago’s bond
rating was lowered substantially as it faced a massive unfunded pension liability.
Generous pension benefits,protected by state law,ma ke it difficult for Chicago to trim
costs without increasing worker contributions,lowering health care benefits and/or
raising taxes.
•The U.S.dollar weakened during the quarter as much of Europe appeared to show signs
of recovery.Asia appears to be managing well on a slower growth track.Political
disagreement in the U.S.drove investors to sell the dollar as the mid-October debt
ceiling deadline drew closer.
•Elevated M&A activity reflected the recent difficulty of growing earnings through sales
as an overlay of rising health insurance costs and political policy uncertainty pressured
consumers to closely monitor their spending habits.
-14
-12
-10
-8
-6
-4
-2
0
2
4
6
Nov-2007May-2008Nov-2008May-2009Nov-2009May-2010Nov-2010May-2011Nov-2011May-2012Nov-2012May-2013MillionsEmployment Growth
Part-Time
Full-Time
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%Dec-2012Jan-2013Mar-2013Mar-2013Apr-2013May-2013Jun-2013Jul-2013Aug-2013Sep-2013USD/Foreign Currency % ChangeEuro Yen (J ap an)
Real (Brazil)Rup ee (Ind)`
Wo n (S. Korea)
Source: Bloomberg
Capital Markets Rev iew
Economy
Employment Growth Changed Little Last Twelve Months
U.S. Dollar Weakens in September
M&A: 2013 YTD, 2012
0
50
100
150
200
250
300
350
400
Billions $2013 YTD (9 Months)2012 (12 Months)
To p five industries per period
48
-40%
-30%
-20%
-10%
0%
10%
20%
30%Relative Performance3rd Quarter 2013 Sector Returns
Yields: Equities versus Bonds
Capital Markets Rev iew
Equities
Equity Markets Fly in Third Quarter Despite Tu rbulence
•Global equity markets experienced strong gains in a risk-on,risk-off third quarter where
markets were driven by government policies and geopolitical news rather than corporate
fundamentals.In what was an eventful three months for equity markets,decreased risk of
military action in Syria,the unanticipated decision not to taper QE3,and positive economic
data out of Europe,China,and the U.S.were the main catalysts of solid performance.Despite
positive results overall,equity markets did experience bouts of poor performance throughout
the quarter,most notably at the end of September when investors shifted their focus to the
threat of both a government shutdown and debt default in the U.S.The S&P 500 ended the
quarter with a 5.2%return.Foreign markets fared better with the MSCI EAFE and MSCI
Emerging Market indices returning 11.6%and 5.8%,respectively.Domestic markets,however,
still displayed the strongest year-to-date returns with the S&P 500 up 19.8%,surpassing
expectations from the start of the year.
•In the third quarter,growth companies significantly outpaced value companies among domestic
stocks,while value companies outperformed growth companies among non-U.S.indices.From
a capitalization perspective,both small-and mid-cap indices outperformed their large-cap
counterparts with small-cap advancing the most.Within the Russell 3000,economically
sensitive sectors led the way.The materials (+9.9%)and industrials (+9.6%)sectors were the
best performers as a result of positive economic trends globally.Defensive sectors lagged
during the quarter with utilities (+0.4%)and telecom (-2.9%)exhibiting the poorest returns due
to rising bond yields,an alternative to dividend-focused sectors.
•The MSCI EAFE Index advanced 11.6%during the third quarter as every developed country
experienced positive returns.The European region (+13.6%)led returns across developed
countries with European Monetary and Economic Union members (+16.1%)performing
especially well.Data evidencing the fact that the European region’s longest ever recession has
ended boosted equity markets.Peripheral countries Greece (+33.6%),Spain (+25.7%),and
Italy (19.6%)surged during the period due to increasingly positive investor sentiment.Japan
(+6.7%),despite increased volatility,added to its impressive return for the ye ar and is now up
24.3%year-to-date.
•The MSCI EM Index advanced 5.8%for the quarter due to China’s improving economic
condition and the Fed’s unexpected announcement that it will not begin to taper asset
purchases.A late September rally resulting from the Fed’s announcement made up for weak
performance during the first two months caused by slower economic growth,currency
weakness,and Middle East tensions.Performance among EM countries was mixed,with
European EM countries (+9.6%)experiencing the strongest gains.
•For the second straight quarter flows into equity mutual fund increased and bond funds
experienced outflows.Despite increased flows and strong performance,equity valuations
appear reasonable relative to historical standards.Current valuations are near the long-term
average for domestic indices and below average for non-U.S.indices.
Developed vs. Emerging Markets: 3 Year Relative Performance
Rolling 3 Year Annualized Relative Returns
Developed Markets Outperformed
Emerging Markets Outperformed
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
Sep-02Mar-03Sep-03Mar-04Sep-04Mar-05Sep-05Mar-06Sep-06Mar-07Sep-07Mar-08Sep-08Mar-09Sep-09Mar-10Sep-10Mar-11Sep-11Mar-12Sep-12Mar-13Sep-13PercentUS Treasury 10 Yr Yi eld
S&P 500 Dividend Yield
49
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%YTD Total ReturnDate
US Agg High Yield Bank Loans Global Agg EMD TIP S
-0.1%
0.1%
0.3%
0.5%
0.7%
0.9%Change in YieldMaturity (Years)
3Q YTD 2013
Fed’s No-taper Curveball a Hit with the Bond Market
•In the third quarter,the bond market was a tale of two periods bifurcated by the Federal
Reserve’s surprise decision on September 18th not to taper its $85 billion in monthly asset
purchases.Prior to the Fed’s announcement,rates drifted higher and most spread sectors
continued to trade lower as the market anticipated a pullback in quantitative easing in the
upcoming months.The 10-year U.S.Treasury yield surpassed 3.0%on September 5th for
the first time since July 2011.Following the Fed’s decision on September 18th,spread
sectors rallied and rates fell sharply with the 10-ye ar U.S.Treasury settling at 2.6%by
quarter-end.The yi eld curve steepened during the quarter,as 10 and 30-year yields
increased 12 and 17 basis points (bps),respectively,while yi elds at the short end of the
curve slightly decreased.The Barclays Aggregate Index returned +0.6%and the Barclays
TIPS Index returned +0.7%with real yields ending the period slightly lower due to a
modest increase in inflation expectations.
•Investment grade credit spreads narrowed 9 bps for the quarter and the duration-adjusted
excess return to Treasuries was 81 bps.Within investment grade credit,financials outpaced
industrials and utilities as higher-beta names generally outperformed.Likewise,high yield
credit generated 194 bps of excess return versus Treasuries as spreads tightened from 492
bps to 461 bps during the quarter.Lower-rated issues have benefited from higher yi elds
and lower durations during 2013,driving the Barclays High Yield Index to outpace the
Barclays Credit Index by more than 6.5%year-to-date.Record-setting levels of new
issuance occurred in both the investment grade and high yi eld markets as issuers rushed to
lock in lower rates.Most notably,Verizon issued a record $49 billion deal,which was
nearly three times larger than the second largest issue on record.
•CMBS spreads tightened marginally as risk appetite increased on the heels of the Fed’s
decision not to taper and strong market demand absorbed new issuance supply.Asset-
backed spreads widened 6 bps,causing the sector to lag Treasuries on a duration-neutral
basis.New supply weighed on ABS in September as investors favored higher-beta sectors.
•Agency MBS spreads tightened 19 basis points during the quarter and generated 95 basis
points of excess returns over Treasuries.The sector traded higher following the
announcement that the Fed would maintain its current level of asset purchases,which
includes $40 billion of MBS per month.15 and 30-ye ar mortgage rates hit two-year highs
during the quarter,resulting in fewer mortgage originations in 3Q.This constrained supply
provided further technical support for the sector.
•Non-U.S.developed government bonds returned +1.0%in local currency terms and +4.1%
in U.S.dollar terms.Most developed currencies appreciated versus the U.S.Dollar,
particularly the Euro,British Pound,and New Zealand Dollar.Emerging market debt
returns stabilized after a sharp sell-off in the second quarter.Local currency and externally-
denominated emerging market government debt returned -0.4%and +1.2%for the quarter,
respectively,while emerging market corporate bonds returned +1.2%.Year-to-date
emerging market debt returns remain well below zero.
Source: Barclays
Source: Barclays
U.S. Treasury Yield Curve Change by Maturity
Duration-adjusted Excess Returns to Treasuries (bps)
Cumulative Year-to-Date Total Returns
Source: US Dept of The Treasury
Capital Markets Rev iew
Fixed Income
Best Period Second Best Period Worst Period Second W orst Period
2006 2007 2008 2009 2010 2011 2012 1Q13 2Q13 3Q13
Ag gre ga te 85 -206 -710 746 171 -114 226 1 -34 51
Ag ency 75 -56 -110 288 77 -25 166 -4 -56 18
MBS 122 -177 -232 495 225 -106 91 -13 -38 95
ABS 87 -634 -2223 2496 169 52 246 -5 -3 -14
CMBS 137 -435 -3274 2960 1501 47 841 -3 -50 66
Cre dit 119 -464 -1786 1990 192 -322 693 20 -73 81
Hi gh Yield 843 -777 -3832 5955 974 -240 1394 281 14 194
Em erging 702 -457 -2842 3797 508 -537 1503 -128 -234 114
50
Beta-Oriented Hedge Funds Lead During Third Quarter
•It wa s another quarter categorized by risk-on,risk-off investor behavior,and as a result,hedge
funds experienced a bumpy ride.Despite that backdrop,hedge fund returns ended the past
three months in positive return territory across most strategies,with the HFR Hedge Fund
Composite Index advancing 2.3%.Overall,managers with high equity beta were rewarded the
most,benefiting from the sharply rising markets in July and September.In contrast to previous
years,hedge funds of funds have kept pace with the single-manager hedge fund universe in
2013.Year-to-date both the HFR Hedge Fund Composite Index and the HFR Fund of Funds
Composite Index advanced 5.6%.This return is favorable compared with the negative BC
Aggregate Bond Index result,but a far stretch from the 19.8%return of the S&P 500 Index.
•Due to strong gains in July and September,directional long/short equity was the top
performing hedge fund strategy during the quarter,returning 4.1%.HFR Equity Hedge
managers reported an aggregate beta of approximately 0.37,indicating both equity beta and
alpha generation contributed to return generation.It wa s reported that many managers elected
to take profits on highly appreciated long positions at quarter-end,modestly reducing gross
exposures and position sizes.
•Equity short selling continued to weigh heavily on portfolios during the third quarter.The
Wall Street Journal reported that as of mid-August,the 100 most heavily shorted stocks within
the Russell 1000 Index were significantly outpacing the average return of the Index.S&P
Capital IQ indicated these stocks we re up 34%through this period while all stocks in the Index
were up only 18%.Some short sellers equate the current environment to the “Internet Bubble”
in that investors continue to chase returns of stocks with questionably high valuations.
•Global macro managers continued to lose ground during the third quarter,in aggregate
declining 1.1%.Most notably,systematic trend followers experienced declines for the fifth
month in a row.The strategy benefits most from an environment characterized by persistent,
perceptible trending behavior,unlike the third quarter’s risk-on,risk-off environment.
•According to HFR,hedge fund fees,on average,have been declining over the past few ye ars.
For many years the ‘2 and 20’fee model was perceived as standard in the industry.In that
structure,a manager charges 2%of assets being managed along with 20%of investment
profits.After the technology bubble burst in 2000,billions of assets flocked to hedge funds
and a run of strong performance firmly locked pricing power in the hands of the hedge fund
managers.But over the past few ye ars the ‘2 and 20’structure has come under increasing
pressure as institutions perceive the returns received since the financial crisis are
disproportionate to the fees they are being charged.HFR reports the average annual
management fee today is 1.6%of assets and the percentage of investment profits taken has
fallen to 18%.Further,Preqin Ltd.reported in August that 46%of investors recently
surveyed attempted fee negotiations with their hedge fund managers and were successful in
obtaining a reduction over the past twelve months.
Returns as of September 30, 2013
Source: Hedge Fund Research, Inc.
Source: Preqin
Style
Third
Qu ar te r YTD
Co nvertible A rbitrage 2.1%6.5%
Distressed Sec ur ities 2.5%9.4%
Eq uity He dge 4.1%9.2%
Eq uity Ma rket Neutr al 0.9%3.7%
Short Bias ed -3.8%-13.6%
Ma cro -1.1%-2.1%
Me rger Arbitrage 1.8%3.4%
He dge Fund Composite 2.3%5.6%
Fu nd of Fu nds 2.1%5.6%
S&P 500 5.2%19.8%
BC Aggr egate Bond Index 0.6%-1.9%
Source: Preqin
Mean Hedge Fund Fees by Strategy
Hedge Fund Fee Negotiation Experiences in the Past 12 Months
Sin gle-Manager Funds 1.61 19.14 6.0
Fu nds of Hedge Funds 1.29 8.57 6.2
Ev ent Driv en 1.57 18.56 10.0
Macro Strategies 1.65 18.59 3.1
Lo ng/Short Equity 1.56 17.45 6.1
Multi-Stra tegy 1.39 12.19 6.0
Re la tive Va lu e 1.47 18.50 4.5
Mean
Ma na ge ment
Fe e (%)
Mean
Perform ance
Fee (%)
Me an Lock-Up
Pe riods
(Months)
Capital Markets Review
Hedge Funds
51
Returns as of June 30, 2013 Core Private Real Estate Returns Steady; Commodities Halt Losses
•Despite an uptick in interest rates during the quarter,private real estate continued to
deliver consistent income and appreciation,benefitting from modest economic and
employment growth,supported with strong real estate fundamentals.The NCREIF
Property Index (“NPI”)returned 2.9%resulting in a year-to-date return ended June 30,
2013 of 5.5%.The second quarter return was comprised of appreciation and income
returns of 1.5%and 1.4%,respectively.Retail and industrial led the way during the
quarter,both returning 3.2%.
•According to Real Capital Analytics,transaction volume within commercial and
multifamily real estate through the first half of 2013 was up 24%over the same period
last year.Private equity real estate fundraising also has seen significant improvement
according to the Preqin Quarterly Update.Funds raised a total of $19 billion during the
second quarter –more than three times the amount raised in the prior quarter.However,
most managers that closed in the second quarter took more than 18 months to complete
the process rather than a more typical 12 months.Despite successfully closing their
funds,about half of these managers fell short of their fundraising goals.
•Domestic REITs suffered on the Fed taper talk during the third quarter,declining -2.6%
(FTSE NAREIT).International REITs recovered after a second quarter dip as foreign
currencies appreciated when investors fled the dollar in September.FTSE/EPRA
NAREIT Global ex.U.S.returned 7.5%and outperformed the broader U.S.equity
market.
•A lack of inflation and soaring U.S.equity markets have produced a slump in the
commodities markets over the last year.However,commodities experienced a modest
improvement in performance during the third quarter driven by precious and industrial
metals as well as energy.Gold advanced 8.3%to $1,326/oz,supported by expanding
bank reserves for the Fed,ECB,and Bank of Japan as well as Middle East political
tensions.Silver prices (+11.2%)benefited from a rise in demand due to strong
performance from China’s manufacturing sector.
•Price hikes early in the quarter supported the energy sector on concerns surrounding oil
supply security across the Middle East.U.S.natural gas production still continues to
garner headlines fueled by output from shale-rock formations.According to a recent
article in the Wall Street Journal1,the U.S.has surpassed Russia as the largest producer
of oil and natural gas.While oil prices have remained high,imports of natural gas and
crude oil have fallen considerably over the past five years,which could lead to
improving price stability.
Source: Ibbotson
Estimated U.S., Russia and Saudi Arabia Petroleum and
Natural Gas Production
Source: EIA
DJ-UBS Commodity Index Components
Total Return Ending September 30, 2013
NCREIF 3 Mon.YT D 1 Yr.3 Yrs.5 Yrs.10 Yrs.
NCREIF 2.9%5.5%10.7%13.1%2.8%8.6%
Ap artments 2.5%5.1%10.7%15.0%3.7%8.3%
Indus trials 3.2%5.8%10.8%12.6%2.1%8.0%
Offi ce 2.8%4.8%9.6%11.8%1.3%8.0%
Retail 3.2%7.0%12.8%13.8%5.1%10.5%
Hotel 2.0%3.1%7.7%10.0%-0.7%6.7%
Eas t 2.5%4.7%9.2%12.6%2.3%8.8%
Mi dwes t 3.0%5.5%10.4%11.7%3.0%7.0%
South 3.1%6.2%11.8%12.9%3.6%8.4%
West 3.1%5.9%11.7%14.3%2.8%9.2%
Se gm ent 3 Months YTD 1 Year 3 Ye ars 5 Ye ars
36.7%Energy 2.8%0.8%-4.5%-5.9%-19.3%
17.0%Petroleum 6.5%4.2%2.7%6.3%-10.1%
16.4%In dus trial Metals 4.3%-13.9%-17.0%-9.6%-4.1%
12.6%Prec ious Metals 9.0%-23.3%-28.9%0.0%9.1%
20.4%Grains -5.1%-12.1%-22.3%2.5%-0.4%
5.6%Livestock 2.6%-1.9%2.7%-2.0%-6.2%
8.3%Soft s 0.9%-10.5%-16.7%-6.3%2.9%
100.0%Total Mark et 2.1%-8.6%-14.3%-3.2%-5.3%
Al loca tion
Quadrillion BTUs Million barrels per day oil equivalent
Capital Markets Review
Real Assets
1 Gold, Russell and Gilbert, Daniel “U.S. Is Overtaking Russia as Largest Oil-and-Gas Producer”, Wall Street Journal, 2 Oct. 2013.
52
$0
$20
$40
$60
$80
$100
$120
$140
$160
$180
$200
$,BillionsVC Buyout Real Assets Secondary Funds Distressed/SS Fund of Funds
•Private equity performance data in the ThomsonOne database has yet to be updated for the
second quarter of 2013.During the first quarter,private equity funds performed well,with a
pooled IRR of 4.9%,but failed to keep pace with double-digit returns in the public equity
markets.For the trailing one-year period,buyout funds produced a pooled IRR of 15.4%,
outperforming both their venture capital counterparts and the S&P 500 Index,which had IRRs
of 4.9%and 13.4%,respectively.Small buyout funds were the best performers for the one-year
period,returning 20.1%,while mezzanine funds we re the worst performers,returning -3.6%.
•The strength in fundraising seen during the second quarter continued in the third quarter.In
aggregate,private equity funds raised approximately $93 billion during 3Q13,just slightly
below the amount raised in the prior quarter.The last two quarters have been the two best
quarters for fundraising in five years.All fund types except real assets raised at least as much
capital in 3Q13 as in the prior quarter.Buyout funds represented more than half of total capital
raised,but venture capital and distressed/special situations funds saw the largest increases in
commitments.Real assets funds closed on $11 billion in 3Q13,a considerable decline from the
$24 billion raised in 2Q13.
•Private equity-backed deal activity slowed during 2Q13 and 3Q13 after having been on an
upward trajectory for a year.According to Preqin,there was an average of 664 private equity-
backed buyout deals with an average aggregate value of $64 billion during 2Q13 and 3Q13,
compared to 756 deals with an aggregate value of $78 billion on average over the prior four
quarters.
•Exit activity for venture capital funds increased during the third quarter,driven by another
strong quarter for venture-backed IPOs and a rise in venture-backed M&As.According to
Thomson Reuters and the National Venture Capital Association,26 venture-backed IPOs raised
an aggregate $2.7 billion in 3Q13,both modest increases from the prior quarter.It was the first
time since 2004 with more than 20 venture-backed IPOs in consecutive quarters.There were
107 venture-backed M&A exits in 3Q13,31 of which disclosed an aggregate deal value of $4.9
billion.The prior quarter saw 92 venture-backed M&A deals,17 of which disclosed an
aggregate value of $3.4 billion.
•Private equity funds exited investments at a much slower pace during 3Q13.According to
Preqin,293 private equity-backed exits with an aggregate deal value of $63 billion were
announced in 3Q13,representing declines of 15%and 33%,respectively,from the prior quarter.
In total,950 private equity-backed exits with an aggregate value of $208 billion were announced
through the first three quarters of 2013,similar to the totals from the same period in 2012.
•According to Cogent Partners,$7 billion of secondary transactions were completed during the
first half of 2013,well below the record pace seen in 2011 and 2012 when deal volumes reached
$25 billion per year.The decline in secondary activity likely was driven by delays in the
implementation of Dodd-Frank regulatory guidelines and strong public equity market
performance.Cogent estimates that full year volume will reach $18-20 billion and several
managers have pointed to a significant pickup in secondary activity since the middle of the year.
Source: Thomson Reuters ThomsonOne database, October 2013.
Note: Data is continuously updated and is therefore subject to change.
Source: Thomson Reuters ThomsonOne database, October 2013.
Fundraising Remains Strong in 3Q13
Source: Preqin
Global Fundraising
PE-Backed Buyout Deal Activity
Investment Horizon Pooled IRR as of 3/31/13
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage Venture 3.0%7.3%2.9%-0.9%2.0%23.2%
Balanced Venture 1.0%1.5%3.7%0.4%6.2%13.0%
Later Stage Venture 5.9%7.1%9.2%4.4%8.0%14.1%
All Venture 2.7%4.9%4.3%0.6%4.7%16.0%
Small Buyouts 4.7%20.1%4.4%0.3%9.9%11.6%
Med Buyouts -0.2%12.4%7.2%1.7%10.1%12.8%
Large Buyouts 2.7%12.2%9.3%4.5%11.2%12.2%
Mega Buyouts 6.3%15.8%11.9%4.2%11.3%9.7%
All Buyouts 5.8%15.4%11.1%3.9%11.2%10.4%
Mezzanine -2.5%-3.6%5.9%2.5%6.7%7.5%
Distressed/Turnaround 5.0%14.9%9.9%7.9%11.0%10.3%
All Private Equity 4.9%12.7%9.6%3.7%9.7%11.3%
S&P 500 10.6%13.4%12.6%6.7%8.8%8.0%
0
50
100
150
200
250
300
350
0
200
400
600
800
1000
1200
Agg. Value ($,Billions)# of Deals# of Deals Aggregat e Deal Value
Capital Markets Rev iew
Pr ivate Equity
53
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 6.3 21.7 22.0 25.8 16.7 10.9 6.4 8.4
S&P 500 5.2 19.8 19.3 24.7 16.3 10.0 5.6 7.6
Russell 1000 Index 6.0 20.8 20.9 25.4 16.6 10.5 6.0 8.0
Russell 1000 Growth Index 8.1 20.9 19.3 24.1 16.9 12.1 7.6 7.8
Russell 1000 Value Index 3.9 20.5 22.3 26.5 16.2 8.9 4.2 8.0
Russell Midcap Index 7.7 24.3 27.9 28.0 17.5 13.0 7.7 10.8
Russell Midcap Growth Index 9.3 25.4 27.5 27.1 17.7 13.9 8.3 10.2
Russell Midcap Value Index 5.9 22.9 27.8 28.5 17.3 11.9 6.8 10.9
Russell 2000 Index 10.2 27.7 30.1 31.0 18.3 11.2 7.2 9.6
Russell 2000 Growth Index 12.8 32.5 33.1 32.1 20.0 13.2 9.0 9.9
Russell 2000 Value Index 7.6 23.1 27.0 29.8 16.6 9.1 5.4 9.3
International Equity Indices
MSCI EAFE 11.6 16.1 23.8 18.7 8.5 6.4 2.4 8.0
MSCI EAFE Growth Index 10.5 16.5 23.3 19.0 8.9 6.8 3.5 8.0
MSCI EAFE Value Index 12.6 15.7 24.3 18.3 8.0 5.9 1.3 7.9
MSCI EAFE Small Cap 15.5 22.1 29.4 20.7 11.2 11.4 4.1 10.3
MSCI AC World Index 7.9 14.4 17.7 19.3 10.2 7.7 4.0 7.9
MSCI AC World ex US 10.1 10.0 16.5 15.5 5.9 6.3 3.0 8.8
MSCI Emerging Markets Index 5.9 -4.1 1.3 9.0 0.0 7.6 6.3 13.2
Fixed Income Indices
Barclays Aggregate 0.6 -1.9 -1.7 1.7 2.9 5.4 5.1 4.6
Barcap Intermediate U.S. Government/Credit 0.6 -0.8 -0.5 1.9 2.4 5.0 4.8 4.1
Barclays U.S. Long Government/Credit -0.8 -8.7 -8.3 0.9 4.7 9.1 6.9 6.3
Barclays US Corp: High Yield 2.3 3.7 7.1 13.1 9.2 13.5 8.8 8.9
BofA Merrill Lynch 3 Month US T-Bill 0.0 0.1 0.1 0.1 0.1 0.2 1.3 1.7
Barclays U.S. Treasury: U.S. TIPS 0.7 -6.7 -6.1 1.2 4.0 5.3 5.4 5.2
Citigroup Non-U.S. World Government Bond 4.1 -3.4 -5.6 -1.2 0.5 4.3 5.1 4.9
JPM EMBI Global Diversified (external currency)1.2 -6.7 -4.1 7.1 4.9 9.8 7.5 8.5
JPM GBI-EM Global Diversified (local currency)-0.4 -7.6 -3.7 4.1 1.8 7.3 9.2 10.1
Real Asset Indices
Dow Jones - UBS Commodity 2.1 -8.6 -14.3 -4.7 -3.2 -5.3 -2.2 2.1
Dow Jones Wilshire REIT -3.0 2.7 5.3 18.1 12.5 5.6 2.5 9.4
Capital Markets Review
Index Returns
As of September 30, 2013
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
54